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Stochastic Volatility: Origins...
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Volatility
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Andersen, Torben
16
Shephard, Neil G.
13
Shephard, Neil
9
Barndorff-Nielsen, Ole E.
6
Chib, Siddhartha
6
Lunde, Asger
5
Todorov, Viktor
5
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4
Meddahi, Nour
4
Nardari, Federico
4
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3
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3
Koopman, Siem Jan
3
Varneskov, Rasmus Tangsgaard
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Dobrev, Dobrislav
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Mykland, Per A.
2
Nakajima, Jouchi
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Omori, Yasuhiro
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Xiu, Dacheng
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Bennedsen, Mikkel
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Bondarenko, Oleg
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Economics Papers / Economics Group, Nuffield College, University of Oxford
313
Oxford University Economic and Social History Series
125
Economics Series Working Papers / Department of Economics, Oxford University
69
Memo / Økonomisk Institut, Aarhus Universitet
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9
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8
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8
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7
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7
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7
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6
Journal of applied econometrics
6
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ECONIS (ZBW)
29
OLC EcoSci
9
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1
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 217-252
Persistent link: https://www.econbiz.de/10006747793
Saved in:
2
Annals of econometrics: cointegration and dynamics in economics
Hendry, David F.
(
contributor
); …
- In:
Journal of econometrics
80
(
1997
)
2
,
pp. 199-422
Persistent link: https://www.econbiz.de/10001226816
Saved in:
3
Stochastic volatility with leverage: Fast and efficient likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil
; …
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 425-449
Persistent link: https://www.econbiz.de/10007761426
Saved in:
4
Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 341-372
Persistent link: https://www.econbiz.de/10007279810
Saved in:
5
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-12
Persistent link: https://www.econbiz.de/10008899335
Saved in:
6
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 149-170
Persistent link: https://www.econbiz.de/10008997629
Saved in:
7
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 204-220
Persistent link: https://www.econbiz.de/10008770543
Saved in:
8
Realized Volatility
Meddahi, Nour
;
Mykland, Per
;
Shephard, Neil
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1-2
Persistent link: https://www.econbiz.de/10008770560
Saved in:
9
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-11
Persistent link: https://www.econbiz.de/10008237918
Saved in:
10
Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil G.
- In:
Journal of econometrics
108
(
2002
)
2
,
pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
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